Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches

DOI10.2143/AST.36.1.2014147zbMath1162.91377OpenAlexW3123438191MaRDI QIDQ3632865

Ulf Herold, Raimond H. Maurer

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014147

Mathematics Subject Classification ID

Related Items (7)

A new procedure for resampled portfolio with shrinkaged covariance matrix ⋮ Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Linear statistical inference for global and local minimum variance portfolios ⋮ A theoretical foundation of portfolio resampling ⋮ A general approach to Bayesian portfolio optimization ⋮ Bias, exploitation and proxies in scenario-based risk minimization

Cites Work

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• Bootstrap methods: another look at the jackknife
• Predicting the Equity Premium with Dividend Ratios
• Bayes's theorem and the use of prior knowledge in regression analysis

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